This paper examines the puzzlingly high unexploited momentum returns from a new perspective.We analyze characteristics of momentum traders in a sample of 692 fund managers. Wefind that momentum traders are “defined” by their short-term horizon, by a behavioural viewon the market and by a...

This paper presents a new algorithm for the dynamic Multi-Level Ca-pacitated Lot Sizing Problem with Setup Carry-Overs (MLCLSP-L). TheMLCLSP-L is a big-bucket model that allows the production of any num-ber of products within a period, but it incorporates partial sequencing of theproduction...

This paper presents an optimization-based solution approach for the dynamicmulti-level capacitated lot sizing problem (MLCLSP) with positive leadtimes. The key idea is to solve a series of mixed-integer programs in an iterativefix-and-optimize algorithm. Each of these programs is optimized over...